Aiming at revealing the co-integration under structural change in the long-run relationship between rainfall and runoff time series at Tangnaihai Hydrological Station in the source area of the Yellow River, and improving the accuracy of annual runoff prediction, co-integration theory and structure change co-integration theory are introduced respectively. The error correction models of rainfall and runoff in these two cases are constructed. The results show that reservoir construction and climate change can cause structure change in the long-run relationship between rainfall and runoff in the source area of the Yellow River. The breakpoints appeared in 1989 and 2002, in which the breakpoint in 1989 is mainly effected by reservoir construction while in 2002 it is effected by rainfall changes. Meanwhile, the error correction model with structural change shows that the impact of rainfall on runoff decreases from 1989 but increases from 2002. Finally, for the prediction of runoff in the next five years, the mean absolute percentage errors of the prediction models without and with breakpoints are 11.04% and 7.08% respectively, and this shows that the error correction model with structural change has the higher runoff prediction accuracy.